3 citations · 15 across the 36 of their papers we have counts for
6 papers · 2 filters
Denseness of biadapted Monge mappings
Mathias Beiglböck, Gudmund Pammer, Stefan Schrott
Adapted or causal transport theory aims to extend classical optimal transport from probability measures to stochastic processes. On a technical level, the novelty is to restrict to…
A regularized Kellerer theorem in arbitrary dimension
Gudmund Pammer, Benjamin A. Robinson, Walter Schachermayer
We present a multidimensional extension of Kellerer's theorem on the existence of mimicking Markov martingales for peacocks, a term derived from the French for stochastic processes…
Lipschitz continuity of the Wasserstein projections in the convex order on the line
Benjamin Jourdain, William Margheriti, Gudmund Pammer
Wasserstein projections in the convex order were first considered in the framework of weak optimal transport, and found application in various problems such as concentration inequa…
A short proof of the characterisation of convex order using the 2-Wasserstein distance
Beatrice Acciaio, Gudmund Pammer
We provide a short proof of the intriguing characterisation of the convex order given by Wiesel and Zhang.
A note on the adapted weak topology in discrete time
Gudmund Pammer
The adapted weak topology is an extension of the weak topology for stochastic processes designed to adequately capture properties of underlying filtrations. With the recent work of…
Computational methods for adapted optimal transport
Stephan Eckstein, Gudmund Pammer
Adapted optimal transport (AOT) problems are optimal transport problems for distributions of a time series where couplings are constrained to have a temporal causal structure. In t…